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Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23744
標題: LIBOR市場模型下異質利率交換商品之評價與分析
Pricing Differential Swaps under LIBOR Market Model
作者: 曹舒菡
Tsao, Shu-Han
關鍵字: LIBOR market model;LIBOR市場模型;Quanto;differential swap;interest rate model;Quanto;異質利率交換;利率模型
出版社: 財務金融系所
引用: Attaoui, S. (2006). Pricing Cross-Currency Derivatives in a Libor Market Model. Brace, A. (1997). The market model of interest rate dynamics. Mathematical finance, 7(2), 127-155. Brigo, D., & Mercurio, F. (2006). Interest rate models: theory and practice: with smile, inflation, and credit: Springer Verlag. Chang, C., Chung, S., & Yu, M. (2002). Valuation and hedging of differential swaps. Journal of Futures Markets, 22(1), 73-94. Dempster, M., & Hutton, J. (1997). Fast numerical valuation of American, exotic and complex options. Applied Mathematical Finance, 4(1), 1-20. Gatarek, D., Bachert, P., & Maksymiuk, R. (2006). The LIBOR market model in practice: John Wiley & Sons. Glasserman, P., & Zhao, X. (2000). Arbitrage-free discretization of lognormal forward Libor and swap rate models. Finance and Stochastics, 4(1), 35-68. Jamshidian, F. (1994). Hedging quantos, differential swaps and ratios. Applied Mathematical Finance, 1(1), 1-20. Jamshidian, F. (1997). LIBOR and swap market models and measures. Finance and Stochastics, 1(4), 293-330. Lyuu, Y. (2002). Financial engineering and computation: principles, mathematics, algorithms: Cambridge Univ Pr. Rebonato, R. (2002). Modern pricing of interest-rate derivatives: the LIBOR market model and Beyond: Princeton Univ Pr. Rebonato, R., & Rebonato, R. (1999). Volatility and correlation: Wiley New York.
摘要: 
目前衍生性商品的種類繁多且許多商品結構複雜，其中利率與匯率的衍生性商品都在市場上占有很大的比例。本文使用Lognormal Forward LIBOR Model(LFM)利率模型為異質利率交換商品做訂價與避險參數的探討，因LFM為非馬可夫隨機過程，故運用樹狀圖評價時節點無法重合，故在此處並不適用，所以本研究採用蒙地卡羅模擬法。在模擬遠期利率所需的參數估計方面，運用利率上限選擇權與利率交換選擇權，進行遠期利率波動度與相關係數的參數校準，且因為異質利率交換屬於Quanto型商品，牽扯到兩國間的利率與匯率，故需運用利率平價理論估計出歷史遠期匯率，求算出遠期匯率的波動度與對國外利率的相關係數。最後以LFM模擬出兩國之遠期利率，進而可求算出商品的理論價格，並探討殖利率與波動度改變對商品價值的影響。
URI: http://hdl.handle.net/11455/23744
其他識別: U0005-2807201022250900
Appears in Collections:財務金融學系所

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